Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 20 is Best) | 8 | 10 | 7 |
| Score | -2.78 | -0.85 | -3.6 |
| Market Cap (Millions USD) | 103.8 | 98.84 | 112.91 |
| Predicted Beta | 0.5 | 0.52 | 0.53 |
| Idiosyncratic Volatility | 1.85 | 2.24 | 2.72 |
Annualized return and volatility
| JPXN | |
|---|---|
| Annualized Return | 0.0405 |
| Annualized Std Dev | 0.2061 |
| Annualized Sharpe (Rf=0%) | 0.1965 |
Row
Daily Return Statistics
| JPXN | |
|---|---|
| Observations | 4650.0000 |
| NAs | 464.0000 |
| Minimum | -0.0834 |
| Quartile 1 | -0.0060 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0002 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0068 |
| Maximum | 0.1483 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0002 |
| Stdev | 0.0130 |
| Skewness | 0.1932 |
| Kurtosis | 8.3712 |
Downside Risk
| JPXN | |
|---|---|
| Semi Deviation | 0.0093 |
| Gain Deviation | 0.0092 |
| Loss Deviation | 0.0096 |
| Downside Deviation (MAR=210%) | 0.0141 |
| Downside Deviation (Rf=0%) | 0.0091 |
| Downside Deviation (0%) | 0.0091 |
| Maximum Drawdown | 0.5498 |
| Historical VaR (95%) | -0.0207 |
| Historical ES (95%) | -0.0304 |
| Modified VaR (95%) | -0.0182 |
| Modified ES (95%) | -0.0212 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2006-05-10 | 2009-03-09 | 2017-05-05 | -0.5498 | 2815 | 727 | 2088 |
| 2002-05-28 | 2003-04-28 | 2003-10-03 | -0.3387 | 351 | 238 | 113 |
| 2018-01-29 | 2018-12-24 | NA | -0.2375 | 490 | 233 | NA |
| 2001-10-29 | 2002-02-06 | 2002-03-07 | -0.1995 | 91 | 71 | 20 |
| 2004-04-06 | 2004-05-17 | 2005-09-01 | -0.1935 | 360 | 30 | 330 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | JPXN | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2001 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.5 | 0.0 | 0.0 | 0.5 |
| 2002 | -1.0 | 3.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 1.2 | 0.0 | 0.0 | 3.2 |
| 2003 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 1.3 | -0.9 | 0.0 | 3.2 | 0.0 | 2.6 | 0.0 | 6.3 |
| 2004 | 0.0 | 2.7 | 0.8 | 0.0 | -1.1 | -1.3 | 0.0 | 0.5 | 2.3 | 0.0 | 1.0 | 0.0 | 5.0 |
| 2005 | 0.3 | 0.8 | -0.4 | 0.0 | 1.0 | -0.1 | 0.8 | 1.0 | 0.0 | 1.3 | 2.2 | 0.0 | 7.2 |
| 2006 | -1.1 | 0.7 | 0.0 | 0.2 | 0.8 | 0.0 | -1.2 | 0.7 | 0.0 | 0.0 | -0.4 | 0.0 | -0.2 |
| 2007 | 1.3 | -0.6 | 0.0 | 0.4 | 0.5 | 0.0 | -1.2 | 0.0 | 0.8 | -1.3 | 0.0 | 0.0 | -0.1 |
| 2008 | 0.7 | 0.0 | 2.6 | 0.5 | 0.0 | 0.0 | -1.0 | 0.0 | -0.8 | 0.0 | -6.9 | 0.0 | -5.0 |
| 2009 | 0.0 | 0.0 | 2.8 | 1.3 | 1.3 | 0.8 | 0.0 | -1.1 | -2.3 | 0.0 | 3.2 | 0.0 | 5.9 |
| 2010 | 0.9 | 0.6 | 1.5 | 0.0 | -0.2 | 0.2 | 0.0 | 2.2 | -0.1 | -1.0 | 2.0 | 0.0 | 6.2 |
| 2011 | 1.9 | -0.1 | -0.2 | 0.0 | -1.2 | 0.6 | -0.6 | -0.6 | 0.0 | -1.5 | -1.3 | 0.0 | -3.0 |
| 2012 | 1.0 | 0.1 | 0.0 | -0.8 | -2.6 | 0.0 | -1.0 | 0.0 | 0.2 | 1.5 | 0.0 | 0.0 | -1.6 |
| 2013 | -0.3 | 0.8 | -3.8 | -1.1 | 0.0 | 1.0 | 3.6 | 0.0 | -0.3 | -1.7 | 0.0 | 0.0 | -1.9 |
| 2014 | 0.0 | 0.0 | -0.1 | 1.2 | 0.0 | 1.3 | 0.0 | 0.0 | -1.1 | 0.0 | 0.4 | 0.0 | 1.8 |
| 2015 | 0.0 | 0.0 | 0.1 | 1.1 | 1.1 | 0.6 | 0.0 | -5.4 | 1.1 | 0.0 | 0.3 | 0.0 | -1.2 |
| 2016 | 0.5 | 2.3 | -2.3 | 0.0 | 0.0 | -0.1 | 0.1 | 1.1 | 0.0 | -0.5 | -0.9 | 0.0 | 0.2 |
| 2017 | 0.8 | 1.3 | 0.0 | 0.4 | 0.7 | 0.0 | 0.8 | -0.2 | 0.0 | 0.6 | -0.8 | 0.0 | 3.7 |
| 2018 | 0.8 | -2.7 | 0.0 | -0.5 | 0.7 | 0.0 | 0.3 | 0.0 | 0.5 | -0.4 | 0.0 | 0.0 | -1.3 |
| 2019 | -0.5 | 0.4 | 1.5 | -0.4 | 0.0 | 1.4 | -0.2 | 0.0 | -0.8 | 1.1 | 0.0 | -0.4 | 2.1 |
Row
Rolling Performance Chart
Snail Trail Chart
